In various tables, use of indicates not meaningful or not applicable.

Basel II Pillar 3 disclosures 2012

For purposes of this report, unless the context otherwise requires, the terms Credit Suisse, the Group, we, us and our mean Credit Suisse Group AG and its consolidated subsidiaries. The business of Credit Suisse AG, the Swiss bank subsidiary of the Group, is substantially similar to the Group, and we use these terms to refer to both when the subject is the same or substantially similar. We use the term the Bank when we are only referring to Credit Suisse AG, the Swiss bank subsidiary of the Group, and its consolidated subsidiaries. In various tables, use of indicates not meaningful or not applicable.

Basel II Pillar 3 disclosures 2012 List of abbreviations 2 1. Introduction 3 2. Capital 4 3. Risk exposure and assessment 8 4. Credit risk 8 5. Securitization risk in the banking book 27 6. Market risk 33 7. Operational risk 42 8. Equity type securities in the banking book 42 9. Interest rate risk in the banking book 43

2 List of abbreviations A ABS A-IRB AMA B BCBS BIS C CCF CDO CDS CLO CMBS CRM D DLE E EAD F FINMA I IAA IMA IRB IRC Asset-backed securities Advanced Internal Ratings-Based Approach Advanced Measurement Approach Basel Committee on Banking Supervision Bank for International Settlements Credit Conversion Factor Collateralized Debt Obligation Credit Default Swap Collateralized Loan Obligation Commercial mortgage-backed securities Credit Risk Management Derivative Loan Equivalent Exposure at Default Swiss Financial Market Supervisory Authority FINMA Internal Assessment Approach Internal Models Approach Internal Ratings-Based Approach Incremental Risk Capital Charge L LGD Loss Given Default M MDB Multilateral Development Banks N NTD Nth-to-default O OTC Over-the-counter P PD Probability of Default R RAR Risk Analytics & Reporting RBA Ratings-Based Approach RMBS Residential mortgage-backed securities RPSC Risk Processes and Standards Committee S SA Standardized Approach SFA Supervisory Formula Approach SMM Standardized Measurement Method SPE Special purpose entity SRW Supervisory Risk Weights Approach U US GAAP Accounting principles generally accepted in the US V VaR Value-at-Risk

Basel II Pillar 3 3 1. Introduction The purpose of this Pillar 3 report is to provide updated information as of December 31, 2012 on our implementation of the Basel II framework and risk assessment processes in accordance with the Pillar 3 requirements. This document should be read in conjunction with the Credit Suisse Annual Report 2012, which includes important information on regulatory capital and risk management (specific references have been made herein to these documents). Since 2008, Credit Suisse operated under the international capital adequacy standards known as Basel II set forth by the Basel Committee on Banking Supervision (BCBS) as implemented by the Swiss Financial Market Supervisory Authority (FINMA) with some additional requirements for large Swiss banks known as Swiss Finish. In January 2011, as required by FINMA, we implemented BCBS s Revisions to the Basel II market risk framework (Basel II.5), for FINMA regulatory capital purposes with some additional requirements for large Swiss banks known as Swiss Finish. As of December 31, 2011, we implemented Basel II.5 for BIS. Effective January 1, 2013, the Basel II.5 framework under which we operated in 2012 was replaced by the Basel III framework. As of January 1, 2013, the Basel III framework was implemented in Switzerland, including through the Swiss Too Big to Fail legislation and the regulations thereunder. In addition to Pillar 3 disclosures we disclose the way we manage our risks for internal management purposes in the Annual Report. u Refer to Risk management (pages 121 to 148) in III Treasury, Risk, Balance sheet and Off-balance sheet in the Credit Suisse Annual Report 2012 for further information regarding the way we manage risk. u Refer to Economic capital and position risk (pages 125 to 128) in III Treasury, Risk, Balance sheet and Off-balance sheet Risk management in the Credit Suisse Annual Report 2012 for further information on economic capital, our Groupwide risk management tool. Certain reclassifications have been made to prior periods to conform to the current period s presentation. The Pillar 3 report is produced and published semi-annually, in accordance with FINMA requirements. This report was verified and approved internally in line with our Basel II Pillar 3 disclosure policy. The Pillar 3 report has not been audited by the Group s external auditors. However, it also includes information that is contained within the audited consolidated financial statements as reported in the Credit Suisse Annual Report 2012. Scope of application The highest consolidated entity in the Group to which Basel II applies is Credit Suisse Group. u Refer to Regulation and supervision (pages 24 to 36) in I Information on the company and to Capital management (pages 102 to 120) in III Treasury, Risk, Balance sheet and Off-balance sheet in the Credit Suisse Annual Report 2012 for further information on regulation. Principles of consolidation For financial reporting purposes, our consolidation principles comply with accounting principles generally accepted in the US (US GAAP). For capital adequacy reporting purposes, however, entities that are not active in banking and finance are not subject to consolidation (i.e. insurance, real estate and commercial companies). These investments, which are not material to the Group, are treated in accordance with the regulatory rules and are either subject to a risk-weighted capital requirement or a deduction from regulatory capital. FINMA has advised the Group that it may continue to include equity from special purpose entities that are deconsolidated under US GAAP as tier 1 capital. We have also received an exemption from FINMA not to consolidate private equity fund type vehicles. u Refer to Note 38 Significant subsidiaries and equity method investments (pages 364 to 366) in V Consolidated financial statements Credit Suisse Group in the Credit Suisse Annual Report 2012 for a list of significant subsidiaries and associated entities of Credit Suisse. Restrictions on transfer of funds or regulatory capital We do not believe that legal or regulatory restrictions constitute a material limitation on the ability of our subsidiaries to pay dividends or our ability to transfer funds or regulatory capital within the Group. u Refer to Liquidity and funding management (pages 96 to 101) and Capital management (pages 102 to 120) in III Treasury, Risk, Balance sheet and Off-balance sheet in the Credit Suisse Annual Report 2012 for information on our liquidity, funding and capital management and dividends and dividend policy.

4 Capital deficiencies The Group s subsidiaries which are not included in the regulatory consolidation did not report any capital deficiencies in 2012. Remuneration The Group implemented Pillar 3 disclosure requirements for remuneration required by the BCBS as of December 31, 2011. u Refer to Compensation (pages 186 to 220) in IV Corporate Governance and Compensation in the Credit Suisse Annual Report 2012 for further information on remuneration. 2. Capital u Refer to Capital management (pages 102 to 120) in III Treasury, Risk, Balance sheet and Off-balance sheet in the Credit Suisse Annual Report 2012 for information on our capital structure, eligible capital and shareholders equity and capital adequacy. u Refer to https://www.credit-suisse.com/investors/en/sub_ financials.jsp for further information on capital ratios of certain significant subsidiaries. Regulatory capital is calculated and managed according to Basel regulations and used to determine BIS ratios and, according to the Swiss Capital Adequacy Ordinance, the FINMA capital requirement covering ratio. The main differences between the BIS and FINMA calculations are the multipliers used for certain risk classes and additional FINMA requirements for market risk. The main impact of the multipliers is related to credit non-counterparty-related risks, for which FINMA uses a multiplier of 3.0 whereas BIS uses a multiplier of 1.0. The additional FINMA requirements for market risk are requirements for stress-test-based risk-weighted assets for hedge funds. BIS ratios compare eligible tier 1 capital and total capital with BIS risk-weighted assets whereas the FINMA capital requirement covering ratio compares total capital with FINMA required capital. Description of regulatory approaches The Basel II framework provides a range of options for determining the capital requirements in order to allow banks and supervisors the ability to select approaches that are most appropriate. In general, Credit Suisse has adopted the most advanced approaches, which align with the way risk is internally managed. Basel II and Basel II.5 focuses on credit risk, market risk, operational risk, securitization risk in the banking book, equity type securities in the banking book and interest rate risk in the banking book. The regulatory approaches for each of these risk exposures and the related disclosures under Pillar 3 are set forth below. Credit risk Basel II permits banks a choice between two broad methodologies in calculating their capital requirements for credit risk, the internal ratings-based (IRB) approach or the standardized approach. Off-balance-sheet items are converted into credit exposure equivalents through the use of credit conversion factors (CCF). The majority of our credit risk is with institutional counterparties (sovereigns, other institutions, banks and corporates) and arises from lending and trading activity in the Investment Banking and Private Banking & Wealth Management divisions. The remaining credit risk is with retail counterparties and mostly arises in the Private Banking & Wealth Management division from residential mortgage loans and other secured lending, including loans collateralized by securities. Advanced-internal ratings-based approach Under the IRB approach, risk weights are determined by using internal risk parameters. We have received approval from FINMA to use, and have fully implemented, the advancedinternal ratings-based (A-IRB) approach whereby we provide our own estimates for probability of default (PD), loss given default (LGD) and exposure at default (EAD). We use the A- IRB approach to determine our institutional credit risk and most of our retail credit risk. PD parameters capture the risk of a counterparty defaulting over a one-year time horizon. PD estimates are based on time-weighted averages of historical default rates by rating grade, with low-default-portfolio estimation techniques applied for higher quality rating grades. Each PD reflects the internal rating for the relevant obligor. LGD parameters consider seniority, collateral, counterparty industry and in certain cases fair value markdowns. LGD estimates are based on an empirical analysis of historical loss rates and are calibrated to reflect time and cost of recovery as

Basel II Pillar 3 5 Regulatory approaches for different risk categories Credit risk Advanced-internal ratings-based (A-IRB) approach PD/LGD Supervisory risk weights (SRW) Standardized approach Market risk Advanced approach Internal models approach (IMA) Regulatory VaR Stressed VaR Risks not in VaR (RNIV) Incremental risk capital charge Securitization risk in the banking book Advanced approach Ratings-based approach (RBA) Supervisory formula approach (SFA) Standardized approach Operational risk Advanced measurement approach (AMA) Equity type securities in the banking book Advanced approach IRB simple approach Non-counterparty-related risk / Settlement risk Standardized approach Fixed risk weights Comprehensive risk measure Standardized measurement method (SMM) Ratings-based approach (RBA) Supervisory formula approach (SFA) Other supervisory approaches 1 Standardized approach 1 For trading book securitization positions covering the approach for nth-to-default products and portfolios covered by the weighted average risk weight approach. well as economic downturn conditions. For much of the Private Banking & Wealth Management loan portfolio, the LGD is primarily dependent upon the type and amount of collateral pledged. For other retail credit risk, predominantly loans secured by financial collateral, pool LGDs differentiate between standard and higher risks, as well as domestic and foreign transactions. The credit approval and collateral monitoring process are based on loan-to-value limits. For mortgages (residential or commercial), recovery rates are differentiated by type of property. EAD is either derived from balance sheet values or by using models. EAD for a non-defaulted facility is an estimate of the gross exposure upon default of the obligor. Estimates are derived based on a CCF approach using default-weighted averages of historical realized conversion factors on defaulted loans by facility type. Estimates are calibrated to capture negative operating environment effects. We have received approval from FINMA to use the internal model method for measuring counterparty risk for the majority of our derivative and secured financing exposures. Risk weights are calculated using either the PD/LGD approach or the supervisory risk weights (SRW) approach for certain types of specialized lending. Standardized approach Under the standardized approach, risk weights are determined either according to credit ratings provided by recognized external credit assessment institutions or, for unrated exposures, by using the applicable regulatory risk weights. Less than 10% of our credit risk is determined using this approach.

6 Market risk We use the advanced approach for calculating the capital requirements for market risk for the majority of our exposures. The following advanced approaches are used: the internal models approach (IMA) and the standardized measurement method (SMM). We use the standardized approach to determine our market risk for a small population of positions which represent an immaterial proportion of our overall market risk exposure. Internal models approach The market risk IMA framework includes regulatory Value-at- Risk (VaR), stressed VaR, risks not in VaR (RNIV), an incremental risk capital charge (IRC), and Comprehensive Risk Measure, to meet the Basel II.5 market risk framework. Regulatory VaR, stressed VaR and risks not in VaR We have received approval from FINMA, as well as from certain other regulators of our subsidiaries, to use our VaR model to calculate trading book market risk capital requirements under the IMA. We apply the IMA to the majority of the positions in our trading book. We continue to receive regulatory approval for ongoing enhancements to the VaR methodology, and the VaR model is subject to regular reviews by regulators and auditors. Stressed VaR replicates a VaR calculation on the Group s current portfolio taking into account a one-year observation period relating to significant financial stress and helps reducing the pro-cyclicality of the minimum capital requirements for market risk. The VaR model does not cover all identified market risk types and as such we have also adopted a RNIV category which was approved by FINMA in 2012. Incremental risk capital charge The IRC model is required to measure the aggregate risk from the exposure to default and migration risk from positions in our trading book. The positions that contribute to IRC are bond positions where we are exposed to profit or loss on default or rating migration of the bond issuer, credit defaults swaps (CDS) positions were we are exposed to credit events affecting the reference entity, and, to a lesser extent, derivatives that reference bonds and CDSs such as bond options and CDS swaptions. Equity positions are typically not included in IRC, but some exceptions exist, such as convertible instruments. Positions excluded from IRC include securitization position and credit correlation products (such as synthetic CDOs, and nth-to-default (NTD) trades). The IRC model assesses risk at 99.9% confidence over a one year time horizon assuming that positions are sold and replaced one or more times. At the same time upon replacement, the model considers credit quality of the old position and assesses the effect of declining or upgrading of credit quality which may lead to changes in the overall assessment of IRC. The level of capital assigned by the IRC model to a position in the trading book depends on its liquidity horizon which represents time required to sell the positions or hedge all material risk covered by the IRC model in a stressed market. The absolute liquidity horizons are imposed by Basel II guidelines. In general, positions with shorter assigned liquidity horizons will contribute less to overall IRC. The IRC model and liquidity horizon methodology have been validated in accordance with the firms validation umbrella policy and IRC sub-policy, with focus on the modelling framework, use of data, benchmarking and documentation. Comprehensive Risk Measure Comprehensive Risk Measure is a market risk capital model designed to capture all the price risks of credit correlation positions in trading book. Scope is corporate correlation trades, i.e. tranches and NTD baskets. Scope excludes resecuritization positions. The model is based on a Full Revaluation Monte Carlo Simulation, whereby all the relevant risk factors are jointly simulated in one year time horizon. The trading portfolio is then fully re-priced under each scenario. The model then calculates the loss at 99.9% percentile. Simulated risk factors are credit spreads, credit migration, credit default, recovery rate, credit correlation, basis between credit indices and their CDS constituents. The Comprehensive Risk Measure model has been internally approved by the relevant risk model approval committee and achieved regulatory approval by FINMA. The capital requirements calculated by the Comprehensive Risk Measure model is currently subject to a floor defined as a percentage of the standardized rules for securitized products. Standardized measurement method We use the SMM which is based on the ratings-based approach (RBA) and the supervisory formula approach (SFA) for securitization purposes (see also Securitization risk in the banking book) and other supervisory approaches for trading book securitization positions covering the approach for nth-todefault products and portfolios covered by the weighted average risk weight approach. Operational risk We have received approval from FINMA to use the advanced measurement approach (AMA) for measuring operational risk. The economic capital/ama methodology is based upon the identification of a number of key risk scenarios that describe the major operational risks that we face. Groups of senior staff review each scenario and discuss the likelihood of occurrence

Basel II Pillar 3 7 and the potential severity of loss. Internal and external loss data, along with certain business environment and internal control factors, such as self-assessment results and key risk indicators, are considered as part of this process. Based on the output from these meetings, we enter the scenario parameters into an operational risk model that generates a loss distribution from which the level of capital required to cover operational risk is determined. Insurance mitigation is included in the capital assessment where appropriate, by considering the level of insurance coverage for each scenario and incorporating haircuts as appropriate. Securitization risk in the banking book For securitizations, the regulatory capital requirements are calculated using IRB approaches (the RBA and the SFA) and the standardized approach in accordance with the prescribed hierarchy of approaches in the Basel regulations. External ratings used in regulatory capital calculations for securitization risk exposures in the banking book are obtained from Fitch, Moody s, Standard & Poor s or Dominion Bond Rating Service. Other risks For equity type securities in the banking book, risk weights are determined using the IRB Simple approach based on the equity sub-asset type (qualifying private equity, listed equity and all other equity positions). Regulatory fixed risk weights are applied to settlement and non-counterparty-related exposures. Settlement exposures arise from unsettled or failed transactions where cash or securities are delivered without a corresponding receipt. Non-counterparty-related exposures arise from holdings of premises and equipment, real estate and investments in real estate entities. For other items, we received approval from FINMA to apply a simplified Institute Specific Direct Risk Weight approach to immaterial portfolios. Risk-weighted assets (Basel II.5) 2012 2011 Ad- Stan- Ad- Stanend of vanced dardized Total vanced dardized Total Risk-weighted assets (CHF million) Sovereigns 4,765 66 4,831 4,907 61 4,968 Other institutions 1,294 93 1,387 1,509 114 1,623 Banks 14,024 358 14,382 19,717 347 20,064 Corporates 76,257 116 76,373 82,108 155 82,263 Residential mortgage 10,148 10,148 11,193 11,193 Qualifying revolving retail 260 260 289 289 Other retail 9,815 8 9,823 9,307 8 9,315 Other exposures 7,876 7,876 8,054 8,054 Credit risk 1 116,563 8,517 125,080 129,030 8,739 137,769 Market risk 29,010 356 29,366 39,459 1,150 40,609 Operational risk 45,125 45,125 36,088 36,088 Equity type securities in the banking book 9,877 9,877 11,673 11,673 Securitization risk in the banking book 6,908 53 6,961 5,752 62 5,814 Settlement risk 305 305 397 397 Non-counterparty-related risk 6,126 6,126 7,819 7,819 Other items 1,456 1,456 1,584 1,584 Total risk-weighted assets 207,483 16,813 224,296 222,002 19,751 241,753 Other multipliers 2 1,737 13,226 14,963 713 16,676 17,389 VaR hedge fund add-on 3 738 738 1,424 1,424 Total FINMA risk-weighted assets 209,958 30,039 239,997 224,139 36,427 260,566 1 For a description of the asset classes refer to section 4 Credit risk. 2 Primarily related to credit non-counterparty-related risk. 3 The VaR hedge fund capital add-on is stress-testbased and was introduced by the FINMA in 2008 for hedge fund exposures in the trading book. This capital add-on is required for the FINMA calculation in addition to the VaR-based market risk capital charge already included in BIS capital. For further information, refer to section 6 Market risk.

8 BIS and FINMA statistics (Basel II.5) Group Bank end of 2012 2011 2012 2011 1 BIS statistics Core tier 1 capital (CHF million) 34,766 25,956 30,879 24,210 Tier 1 capital (CHF million) 43,547 36,844 39,660 35,098 Total eligible capital (CHF million) 49,936 48,654 47,752 48,390 Core tier 1 ratio (%) 15.5 10.7 14.4 10.4 Tier 1 ratio (%) 19.4 15.2 18.4 15.1 Total capital ratio (%) 22.3 20.1 22.2 20.8 FINMA statistics FINMA required capital (CHF million) 2 19,200 20,845 18,388 20,039 Capital requirement covering ratio (%) 260.1 233.4 259.7 241.5 1 Restated to reflect the integration of Clariden Leu. 2 Calculated as 8% of total risk-weighted assets. 3. Risk exposure and assessment The Group is exposed to several key banking risks such as credit risk (refer to section 4 Credit risk), securitization risk in the banking book (refer to section 5 Securitization risk in the banking book), market risk (refer to section 6 Market risk), operational risk (refer to section 7 Operational risk), equity risk in the banking book (refer to section 8 Equity type securities in the banking book) and interest rate risk in the banking book (refer to section 9 Interest rate risk in the banking book. u Refer to Risk management (pages 121 to 148) in III Treasury, Risk, Balance sheet and Off-balance sheet in the Credit Suisse Annual Report 2012 for information on risk management oversight including risk governance, risk organization, risk types and risk appetite and risk limits. 4. Credit risk General u Refer to Credit risk (pages 135 to 146) in III Treasury, Risk, Balance sheet and Off-balance sheet Risk management in the Credit Suisse Annual Report 2012 for information on our credit risk management approach, ratings and risk mitigation and impaired exposures and allowances. For regulatory purposes, we categorize our exposures into broad classes of assets with different underlying risk characteristics including type of counterparty, size of exposure and type of collateral. The asset class categorization is driven by Basel II regulatory rules. The credit asset classes under Basel II are set forth below and are grouped as either institutional or retail. Institutional credit risk p Sovereigns: exposures to central governments, central banks, BIS, the International Monetary Fund, the European Central Bank and eligible Multilateral Development Banks (MDB). p Other institutions: exposures to public bodies with the right to raise taxes or whose liabilities are guaranteed by a public sector entity. p Banks: exposures to banks, securities firms, stock exchanges and those MDB that do not qualify for sovereign treatment. p Corporates: exposures to corporations (except small businesses) and public sector entities with no right to raise taxes and whose liabilities are not guaranteed by a public entity. The Corporate asset class also includes specialized lending, in which the lender looks primarily to a single source of revenues to cover the repayment obligations and

Basel II Pillar 3 9 where only the financed asset serves as security for the exposure (e.g., income producing real estate or commodities finance). Retail credit risk p Residential mortgages: includes exposures secured by residential real estate collateral occupied or let by the borrower. p Qualifying revolving retail: includes credit card receivables and overdrafts. p Other retail: includes loans collateralized by securities and small business exposures. Other credit risk p Other exposures: includes exposures with insufficient information to treat under the A-IRB approach or to allocate under the Standardized approach into any other asset class. Gross credit exposures by regulatory approach and risk-weighted assets Risk- Stan- weighted A-IRB dardized Total assets PD/LGD SRW end of Pre- Postsubstitution 1 substitution 2012 (CHF million) Sovereigns 64,930 63,378 6,165 69,543 4,831 Other institutions 5,737 5,431 433 5,864 1,387 Banks 46,403 50,822 23 1,122 51,967 14,382 Corporates 177,115 174,554 1,014 505 176,073 76,373 Total institutional credit exposures 294,185 294,185 1,037 8,225 303,447 96,973 Residential mortgage 96,425 96,425 96,425 10,148 Qualifying revolving retail 156 156 156 260 Other retail 57,768 57,768 8 57,776 9,823 Total retail credit exposures 154,349 154,349 8 154,357 20,231 Other exposures 14,164 14,164 7,876 Total gross credit exposures 448,534 448,534 1,037 22,397 471,968 125,080 2011 (CHF million) Sovereigns 115,834 113,659 7,783 121,442 4,968 Other institutions 5,554 5,567 538 6,105 1,623 Banks 59,349 65,090 17 1,219 66,326 20,064 Corporates 187,801 184,222 1,401 650 186,273 82,263 Total institutional credit exposures 368,538 368,538 1,418 10,190 380,146 108,918 Residential mortgage 92,820 92,820 92,820 11,193 Qualifying revolving retail 174 174 174 289 Other retail 53,993 53,993 8 54,001 9,315 Total retail credit exposures 146,987 146,987 8 146,995 20,797 Other exposures 15,515 15,515 8,054 Total gross credit exposures 515,525 515,525 1,418 25,713 542,656 137,769 1 Gross credit exposures are shown pre- and post-substitution as, in certain circumstances, credit risk mitigation is reflected by shifting the counterparty exposure from the underlying obligor to the protection provider.

10 Gross credit exposures and risk-weighted assets Gross credit exposures (CHF million) 2012 2011 Risk- Risk- Monthly weighted Monthly weighted End of average assets End of average assets Loans, deposits with banks and other assets 1 323,411 351,806 75,371 370,027 321,075 77,948 Guarantees and commitments 68,168 63,919 24,246 59,990 66,652 23,465 Securities financing transactions 26,445 28,358 4,435 30,664 32,179 3,716 Derivatives 53,944 64,382 21,028 81,975 86,624 32,640 Total 471,968 508,465 125,080 542,656 506,530 137,769 1 Includes interest bearing deposits with banks, banking book loans, available-for-sale debt securities and other receivables. Geographic distribution of gross credit exposures Asia end of Switzerland EMEA Americas Pacific Total 2012 (CHF million) Loans, deposits with banks and other assets 1 154,942 84,140 60,326 24,003 323,411 Guarantees and commitments 15,562 20,185 28,424 3,997 68,168 Securities financing transactions 2,165 10,431 12,114 1,735 26,445 Derivatives 5,400 28,599 15,093 4,852 53,944 Total 178,069 143,355 115,957 34,587 471,968 2011 (CHF million) Loans, deposits with banks and other assets 1 168,961 103,947 73,285 23,834 370,027 Guarantees and commitments 13,319 17,962 27,030 1,679 59,990 Securities financing transactions 3,553 8,747 17,491 873 30,664 Derivatives 7,928 43,543 22,516 7,988 81,975 Total 193,761 174,199 140,322 34,374 542,656 The geographic distribution is based on the country of incorporation or the nationality of the counterparty, shown pre-substitution. 1 Includes interest bearing deposits with banks, banking book loans, available-for-sale debt securities and other receivables.

Basel II Pillar 3 11 Industry distribution of gross credit exposures Financial Public end of institutions Commercial Consumer authorities Total 2012 (CHF million) Loans, deposits with banks and other assets 1 15,768 128,172 115,779 63,692 323,411 Guarantees and commitments 4,280 55,923 3,815 4,150 68,168 Securities financing transactions 9,167 13,717 24 3,537 26,445 Derivatives 17,741 25,045 1,461 9,697 53,944 Total 46,956 222,857 121,079 81,076 471,968 2011 (CHF million) Loans, deposits with banks and other assets 1 16,659 131,130 109,522 112,716 370,027 Guarantees and commitments 3,292 51,141 3,582 1,975 59,990 Securities financing transactions 9,429 17,923 32 3,280 30,664 Derivatives 31,239 37,794 1,770 11,172 81,975 Total 60,619 237,988 114,906 129,143 542,656 Exposures are shown pre-substitution. 1 Includes interest bearing deposits with banks, banking book loans, available-for-sale debt securities and other receivables. Remaining contractual maturity of gross credit exposures within within end of 1 year 1 1-5 years Thereafter Total 2012 (CHF million) Loans, deposits with banks and other assets 2 188,017 91,884 43,510 323,411 Guarantees and commitments 30,920 35,245 2,003 68,168 Securities financing transactions 26,430 0 15 26,445 Derivatives 19,317 32,159 2,468 53,944 Total 264,684 159,288 47,996 471,968 2011 (CHF million) Loans, deposits with banks and other assets 2 231,016 102,323 36,688 370,027 Guarantees and commitments 21,488 35,935 2,567 59,990 Securities financing transactions 30,598 57 9 30,664 Derivatives 29,837 49,475 2,663 81,975 Total 312,939 187,790 41,927 542,656 1 Includes positions without agreed residual contractual maturity. receivables. 2 Includes interest bearing deposits with banks, banking book loans, available-for-sale debt securities and other

12 Portfolios subject to PD/LGD approach Rating models Rating models are based on statistical data and are subject to a thorough review before implementation. Credit rating models are developed by Risk Analytics & Reporting (RAR) or Credit Risk Management (CRM) and independently validated by Risk Model Validation prior to use within the Basel II regulatory capital calculation, and thereafter on a regular basis. To ensure that ratings are consistent and comparable across all businesses, we have used an internal rating scale which is benchmarked to an external rating agency using the historical PD associated with external ratings. At the time of initial credit approval and review, relevant quantitative data (such as financial statements and financial projections) and qualitative factors relating to the counterparty are used by CRM in the models and result in the assignment of a credit rating or PD, which measures the counterparty s risk of default over a one-year period. New or materially changed rating models are submitted for approval to the Risk Processes and Standards Committee (RPSC) prior to implementation. RPSC reviews the continued use of existing models on an annual basis. CRM is an independent function with responsibility for approving credit ratings and limits, monitoring and managing individual exposures and assessing and managing the quality of the segment and business area s credit portfolios. RAR is an independent function with responsibility for risk analytics, reporting, systems implementation and policies. CRM and RAR report to the Chief Risk Officer. Descriptions of the rating processes For the purposes of internal ratings, we have developed a set of credit rating models tailored for different internal client segments in both Investment Banking and Private Banking & Wealth Management (e.g., international corporates, financial institutions, asset finance, small and medium-sized entities, commodity traders, residential mortgages, etc.) and transaction types. Counterparty and transaction rating process Corporates (excluding corporates managed on the Swiss platform), banks and sovereigns (primarily in the Investment Banking division) Internal ratings are based on the analysis and evaluation of both quantitative and qualitative factors. The specific factors analyzed are dependent on the type of counterparty. The analysis emphasizes a forward looking approach, concentrating on economic trends and financial fundamentals. Credit officers make use of peer analysis, industry comparisons, external ratings and research and the judgment of credit experts. For structured and asset finance deals, the approach is more quantitative. The focus is on the performance of the underlying assets, which represent the collateral of the deal. The ultimate rating is dependent upon the expected performance of the underlying assets and the level of credit enhancement of the specific transaction. Additionally, a review of the originator and/or servicer is performed. External ratings and research (rating agency and/or fixed income and equity), where available, are incorporated into the rating justification, as is any available market information (e.g., bond spreads, equity performance). Transaction ratings are based on the analysis and evaluation of both quantitative and qualitative factors. The specific factors analyzed include seniority, industry and collateral. The analysis emphasizes a forward looking approach. Counterparty and transaction rating process Corporates managed on the Swiss platform, mortgages and other retail (primarily in the Private Banking & Wealth Management division) For corporates managed on the Swiss platform and mortgage lending, the statistically derived rating models, which are based internally compiled data comprising both quantitative factors (primarily loan-to-value ratio and the borrower s income level for mortgage lending and balance sheet information for corporates) and qualitative factors (e.g., credit histories from credit reporting bureaus). Collateral loans, which form the largest part of other retail, are treated according to Basel II rules with pool PD and pool LGD based on historical loss experience. Most of the collateral loans are loans collateralized by securities. As a rule, the allocation of exposures to institutional or retail as outlined in the following tables is based on the rating models segment split, but also takes into account further explicit regulatory rules.

Basel II Pillar 3 13 Relationship between PD bands and counterparty ratings PD bands (%) 1 2012 2011 Counterparty ratings AAA 0.000-0.022 0.000-0.022 AA 0.022-0.044 0.022-0.044 A 0.044-0.097 0.044-0.097 BBB 0.097-0.487 0.097-0.487 BB 0.487-2.478 0.487-2.478 B 2.478-99.999 2.478-99.999 Default (net of specific provisions) 1 PD bands are subject to slight changes over time as a result of routine recalibrations of PD parameters, which are generally updated on an annual basis.

14 Institutional credit exposures by counterparty rating under PD/LGD approach Exposure- Exposure- Undrawn Total weighted weighted commitexposure average average risk ments end of 2012 (CHF m) LGD (%) weight (%) 1 (CHF m) Sovereigns AAA 28,379 13.54 2.66 16 AA 25,923 9.47 1.58 15 A 4,876 52.11 30.68 BBB 3,614 54.57 33.42 BB 141 42.74 89.79 B or lower 98 42.46 154.80 Default (net of specific provisions) 347 Total credit exposure 63,378 31 Exposure-weighted average CCF (%) 2 98.99 Other institutions AAA AA 4,044 50.99 14.81 1,800 A 597 44.56 24.60 128 BBB 555 47.97 36.21 782 BB 53 50.79 84.48 10 B or lower 182 34.42 125.90 Default (net of specific provisions) Total credit exposure 5,431 2,720 Exposure-weighted average CCF (%) 2 69.23 Banks AAA AA 10,677 47.76 11.32 56 A 27,032 49.53 19.03 705 BBB 8,766 40.47 34.37 191 BB 3,315 47.50 82.79 153 B or lower 841 33.65 109.95 12 Default (net of specific provisions) 191 Total credit exposure 50,822 1,117 Exposure-weighted average CCF (%) 2 93.66 Corporates AAA AA 29,728 43.42 12.04 8,578 A 36,684 38.51 15.64 12,543 BBB 47,125 37.08 34.61 11,830 BB 45,937 36.17 66.37 6,906 B or lower 13,403 31.20 105.20 3,922 Default (net of specific provisions) 1,677 44 Total credit exposure 174,554 43,823 Exposure-weighted average CCF (%) 2 75.60 Total institutional credit exposure 294,185 47,691 1 The exposure-weighted average risk weights in percentage terms is the multiplier applied to regulatory exposures to derive risk-weighted assets, and may exceed 100%. before credit risk mitigation. 2 Calculated

Basel II Pillar 3 15 Institutional credit exposures by counterparty rating under PD/LGD approach (continued) Exposure- Exposure- Undrawn Total weighted weighted commitexposure average average risk ments end of 2011 (CHF m) LGD (%) weight (%) 1 (CHF m) Sovereigns AAA 65,664 9.35 1.71 4 AA 40,624 5.63 1.04 A 3,752 51.55 34.76 15 BBB 2,542 56.16 32.13 BB 829 20.64 44.11 B or lower 247 46.08 241.96 Default (net of specific provisions) 1 Total credit exposure 113,659 19 Exposure-weighted average CCF (%) 2 99.81 Other institutions AAA AA 3,541 51.00 16.85 189 A 986 53.36 33.54 164 BBB 867 45.44 34.61 241 BB 88 34.64 70.37 8 B or lower 85 43.75 158.28 Default (net of specific provisions) Total credit exposure 5,567 602 Exposure-weighted average CCF (%) 2 81.01 Banks AAA 1 AA 18,224 53.79 15.19 26 A 32,133 54.14 21.26 134 BBB 9,256 44.92 39.42 7 BB 3,933 52.21 97.02 39 B or lower 1,281 27.65 99.10 11 Default (net of specific provisions) 263 Total credit exposure 65,090 218 Exposure-weighted average CCF (%) 2 95.58 Corporates AAA AA 39,909 42.50 12.22 9,206 A 41,577 47.58 19.81 12,385 BBB 45,307 41.95 39.35 9,845 BB 43,593 37.41 69.84 5,576 B or lower 11,740 34.05 116.56 3,199 Default (net of specific provisions) 2,096 10 Total credit exposure 184,222 40,221 Exposure-weighted average CCF (%) 2 78.67 Total institutional credit exposure 368,538 41,060 1 The exposure-weighted average risk weights in percentage terms is the multiplier applied to regulatory exposures to derive risk-weighted assets, and may exceed 100%. before credit risk mitigation. 2 Calculated

16 Retail credit exposures by expected loss band under PD/LGD approach Exposure- Exposure- Undrawn Total weighted weighted commitexposure average average risk ments end of 2012 (CHF m) LGD (%) weight (%) 1 (CHF m) Residential mortgages 0.00%-0.15% 88,421 16.46 7.39 1,433 0.15%-0.30% 4,946 26.49 27.39 137 0.30%-1.00% 2,575 28.81 46.88 40 1.00% and above 251 29.82 96.97 2 Defaulted (net of specific provisions) 232 1 Total credit exposure 96,425 1,613 Exposure-weighted average CCF (%) 2 97.45 Qualifying revolving retail 0.00%-0.15% 0.15%-0.30% 0.30%-1.00% 1.00% and above 155 60.00 157.31 Defaulted (net of specific provisions) 1 Total credit exposure 156 Exposure-weighted average CCF (%) 2 99.78 Other retail 0.00%-0.15% 51,782 48.45 14.28 1,095 0.15%-0.30% 576 46.71 29.67 92 0.30%-1.00% 2,889 41.88 34.84 120 1.00% and above 2,247 21.55 32.43 14 Defaulted (net of specific provisions) 274 2 Total credit exposure 57,768 1,323 Exposure-weighted average CCF (%) 2 93.93 Total retail credit exposure 154,349 2,936 1 The exposure-weighted average risk weights in percentage terms is the multiplier applied to regulatory exposures to derive risk-weighted assets, and may exceed 100%. before credit risk mitigation. 2 Calculated

Basel II Pillar 3 17 Retail credit exposures by expected loss band under PD/LGD approach (continued) Exposure- Exposure- Undrawn Total weighted weighted commitexposure average average risk ments end of 2011 (CHF m) LGD (%) weight (%) 1 (CHF m) Residential mortgages 0.00%-0.15% 82,228 16.56 7.94 1,155 0.15%-0.30% 6,122 24.89 26.66 206 0.30%-1.00% 3,913 28.96 47.58 235 1.00% and above 287 28.85 94.05 1 Defaulted (net of specific provisions) 270 3 Total credit exposure 92,820 1,600 Exposure-weighted average CCF (%) 2 97.34 Qualifying revolving retail 0.00%-0.15% 0.15%-0.30% 0.30%-1.00% 1.00% and above 173 60.00 157.31 Defaulted (net of specific provisions) 1 Total credit exposure 174 Exposure-weighted average CCF (%) 2 99.84 Other retail 0.00%-0.15% 47,765 47.66 14.35 467 0.15%-0.30% 1,095 50.29 31.33 99 0.30%-1.00% 2,589 43.14 33.53 145 1.00% and above 2,353 21.62 32.55 29 Defaulted (net of specific provisions) 191 3 Total credit exposure 53,993 743 Exposure-weighted average CCF (%) 2 95.58 Total retail credit exposure 146,987 2,343 1 The exposure-weighted average risk weights in percentage terms is the multiplier applied to regulatory exposures to derive risk-weighted assets, and may exceed 100%. before credit risk mitigation. 2 Calculated

18 Loss analysis regulatory expected loss vs. cumulative actual loss The following table shows the regulatory expected loss as of the beginning of the years compared with the cumulative actual loss incurred during the year ended December 31, 2012 and 2011, respectively, for those portfolios where credit risk is calculated using the IRB approach. Analysis of expected loss vs. cumulative actual loss Losses (CHF million) 2012 2011 Expected Expected loss loss (beginning Cumulative (beginning Cumulative of year) actual loss of year) actual loss Sovereigns 43 203 27 8 Banks 393 295 408 342 Other institutions 3 0 3 0 Corporates 1 1,193 912 959 805 Residential mortgages 130 68 160 84 Other retail (including qualifying revolving retail) 271 326 289 313 Total losses 2,033 1,804 1,846 1,552 1 Excludes specialized lending portfolios that are not subject to the PD/LGD approach. Prior period balances have been restated in order to show comparable numbers. Regulatory expected loss Regulatory expected loss is a Basel II measure based on Pillar 1 metrics which is an input to the capital adequacy calculation. Regulatory expected loss can be seen as an expectation of average future loss as derived from our IRB models, and is not a prediction of future impairment. For non-defaulted assets, regulatory expected loss is calculated using PD and downturn LGD estimates. For the calculation of regulatory expected loss for defaulted accrual accounted assets, PD is 100% and LGD is based on an estimate of likely recovery levels for each asset. Cumulative actual loss Cumulative actual loss comprises two parts: the opening impairment balance and the net specific impairment losses for loans held at amortized cost and actual value charges providing an equivalent impairment measure for both fair value loans and counterparty exposures as if these were loans held at amortized cost (excluding any realized credit default swap gains). The actual value charges may not necessarily be the same as the fair value movements recorded through the consolidated statements of operations. Cumulative actual loss can also include charges against assets that were originated during the year and were therefore outside of the scope of the regulatory expected loss calculated at the beginning of the year. Cumulative actual loss does not include the effects on the impairment balance of amounts written off during the year. The average cumulative actual loss over the last two years is below the expected loss estimates reflecting a level of conservatism in the corporate and residential mortgage rating models. The Other Retail asset class models were recalibrated upwards in 2012 resulting in a higher expected loss as of the year end. The following table presents the components of the cumulative actual loss.

Basel II Pillar 3 19 Cumulative actual loss CHF million 2012 2011 Opening Specific Actual Total Opening Specific Actual Total impairment impairment value actual impairment impairment value actual balance losses charges loss balance losses charges loss Sovereigns 8 0 195 203 8 0 0 8 Banks 313 0 (18) 295 339 3 0 342 Other institutions 0 0 0 0 0 0 0 0 Corporates 1 705 71 136 912 407 73 325 805 Residential mortgages 63 5 0 68 82 2 0 84 Other retail 179 147 0 326 201 112 0 313 Total 1,268 223 313 1,804 1,037 190 325 1,552 1 Excludes specialized lending portfolios that are not subject to the PD/LGD approach. Prior period balances have been restated in order to show comparable numbers. Credit Model Performance estimated vs. actual The following tables present the forecast and actual PD, LGD and EAD CCF for assets under the IRB approach. Estimated values of PD, LGD and CCF reflect probable long-run average values, allowing for possible good and bad outcomes in different years. Because they represent long-run averages, PD, LGD and CCF shown are not intended to predict outcomes in any particular year, and cannot be regarded as predictions of the corresponding actual reported results. Analysis of expected credit model performance vs. actual results Private Banking & Wealth Management PD of total LGD of defaulted portfolio (%) assets (%) Estimated Actual Estimated Actual Corporates 0.74 0.40 40 23 Residential mortgages 0.49 0.19 16 4 Other retail 0.55 0.33 49 45 CCF of defaulted assets only disclosed on a total Private Banking & Wealth Management basis. Estimated CCF: 26%; actual CCF:19%. Private Banking & Wealth Management Estimated PD, LGD and CCF for Private Banking & Wealth Management are derived from a counterparty-weighted average from each model, and then mapped to the regulatory asset class directly or mapped using an exposure-weighted (model to asset class) average. In the table above, the comparison between actual and estimated parameters for Private Banking & Wealth Management is derived from the latest available internal portfolio reviews used within the model performance and validation framework and where possible, multi-year analysis is applied. Actual PDs for Corporate, Residential mortgage and Other asset classes are below the estimate as the through-thecycle-model-calibration includes a margin of conservatism. Actual LGDs results for Residential mortgage clients are materially below estimated LGD, reflecting a relatively cautious model calibration.

20 Analysis of expected credit model performance vs. actual results Investment Banking PD of total LGD of defaulted CCF of defaulted portfolio (%) assets (%) assets (%) Estimated Actual Estimated Actual Estimated Actual Sovereigns 1.14 0.28 52 97 Banks 1.28 0.20 52 25 62 100 Corporates and other institutions 1.31 0.30 41 28 62 30 Investment Banking Estimated and actual PD, LGD and CCF for Investment Banking are counterparty-weighted averages in the year of default, and then for the multi-year based disclosure, we use a simple average PD, whereas for the calculation of LGD and CCF a counterparty-weighted average across all years is used. The table above shows that realized LGD and PD rates are below model estimates for Banks and Corporate and Other Institutions. This is a reflection of conservatism within parameter settings, together with year-on-year variation in realized values of these parameters. There was a single technical Sovereign default in the period under review but with trades continuing to be open. The LGD of 97% reflects the current value of the impairment provision as a percentage of the mark to market position of the exposure at the date of the technical default. Portfolios subject to the standardized and supervisory risk weights approaches Standardized approach Under the standardized approach, risk weights are determined either according to credit ratings provided by recognized external credit assessment institutions or, for unrated exposures, by using the applicable regulatory risk weights. Less than 10% of our credit risk is determined using this approach. Balances include banking book treasury liquidity positions. Supervisory risk weights approach For specialized lending exposures, internal rating grades are mapped to one of five supervisory categories, associated with a specific risk weight under the SRW approach. Equity IRB Simple approach For equity type securities in the banking book, risk weights are determined using the IRB Simple approach, which differentiates by equity sub-asset types (qualifying private equity, listed equity and all other equity positions). Standardized and supervisory risk weighted exposures after risk mitigation by risk weighting bands Standardized Equity IRB end of approach SRW Simple Total 2012 (CHF million) 0% 11,477 966 0 12,443 >0%-50% 3,740 23 0 3,763 >50%-100% 7,180 34 0 7,214 >100%-200% 0 14 2,208 2,222 >200%-400% 0 0 1,562 1,562 Total 22,397 1,037 3,770 27,204 2011 (CHF million) 0% 13,857 1,087 0 14,944 >0%-50% 4,704 19 0 4,723 >50%-100% 7,152 249 0 7,401 >100%-200% 0 58 2,733 2,791 >200%-400% 0 5 1,757 1,762 Total 25,713 1,418 4,490 31,621

Basel II Pillar 3 21 Credit risk mitigation used for A-IRB and standardized approaches Credit risk mitigation processes used under the A-IRB and standardized approaches include on- and off-balance sheet netting and utilizing eligible collateral as defined under the IRB approach. Netting u Refer to Derivative instruments (pages 144 to 146) in III Treasury, Risk, Balance sheet and Off-balance sheet Risk management Credit risk and to Note 1 Summary of significant accounting policies (pages 234 to 235) in V Consolidated financial statements Credit Suisse Group in the Credit Suisse Annual Report 2012 for information on policies and procedures for on- and off-balance sheet netting. Collateral valuation and management The policies and processes for collateral valuation and management are driven by: p a legal document framework that is bilaterally agreed with our clients; and p a collateral management risk framework enforcing transparency through self-assessment and management reporting. For collateralized portfolio by marketable securities, the valuation is performed daily. Exceptions are governed by the calculation frequency described in the legal documentation. The mark-to-market prices used for valuing collateral are a combination of firm and market prices sourced from trading platforms and service providers, where appropriate. The management of collateral is standardized and centralized to ensure complete coverage of traded products. For the Private Banking & Wealth Management mortgage lending portfolio, real estate property is valued at the time of credit approval and periodically afterwards, according to our internal directives and controls, depending on the type of loan (e.g., residential, commercial) and loan-to-value ratio. Primary types of collateral The primary types of collateral are described below. Collateral securing foreign exchange transactions and overthe-counter (OTC) trading activities primarily includes: p Cash and US Treasury instruments; p G-10 government securities; and p Gold or other precious metals. Collateral securing loan transactions primarily includes: p Financial collateral pledged against loans collateralized by securities of Private Banking & Wealth Management clients (primarily cash and marketable securities); p Real estate property for mortgages, mainly residential, but also multi-family buildings, offices and commercial properties; and p Other types of lending collateral, such as accounts receivable, inventory, plant and equipment. Concentrations within risk mitigation Our Investment Banking division is an active participant in the credit derivatives market and trades with a variety of market participants, principally commercial banks and broker dealers. Credit derivatives are primarily used to mitigate investment grade counterparty exposures. Concentrations in our Private Banking & Wealth Management lending portfolio arise due to a significant volume of mortgages in Switzerland. The financial collateral used to secure loans collateralized by securities worldwide is generally diversified and the portfolio is regularly analyzed to identify any underlying concentrations, which may result in lower loan-tovalue ratios. u Refer to Credit risk (pages 135 to 146) in III Treasury, Risk, Balance sheet and Off-balance sheet Risk management in the Credit Suisse Annual Report 2012 for further information on risk mitigation.